Estimation of flexible fuzzy GARCH models for conditional density estimation

DOI10.1016/J.INS.2014.01.021MaRDI QIDQ2629962zbMATH OpenOpenAlexFDO

Authors Rui Jorge Almeida, Nalan Baştürk, Uzay Kaymak, João Miguel Da Costa Sousa

Publication date 8 July 2016

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/1765/40785

zbMATH Keywords

conditional density estimationvolatility forecastinglinguistic descriptionfuzzy GARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inference from stochastic processes and fuzziness (62M86)

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• scientific article; zbMATH DE number 5002302 (Why is no real title available?)
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Cited in

(6)

• Forecasts of volatility models: fuzzy estimation approach
• A parallel fuzzy GMM-algorithm for approximate VGARCH-modeling with a multi-modal discontinuous merit function
• Kurtosis of fuzzy coefficient GARCH models
• Volatility GARCH models with the ordered weighted average (OWA) operators
• Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling
• Weighted possibilistic moments of fuzzy numbers with applications to GARCH modeling and option pricing

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